Practical Asset and Liability Management Workshop

Asset and liability management (ALM) strategies can be applied in a number of financial planning contexts: pension funds, insurance, banks lending and borrowing and life cycle planning for wealthy individuals. The quant models for these applications compute various risk exposures. These are longevity risk, interest rate risk, inflation risk, default risk etc. These risks have to be measured and directly managed through the use of decision models. This one day in-depth workshop provides insight into "what" is the problem and "how" to analyse the challenging pension problem by showing real life case studies as well as research led approaches by experts from both academia and industry. Different methodologies and strategies including alternative investments (i.e. hedge funds), the latest technologies (i.e. optimisation software) and enhancing financial products (i.e. longevity bonds, swaps or swaptions) are introduced and discussed. The workshop is targeted at quantitative and technical analysts, risk analysts, pension fund managers and academics and is presented in an interactive format with ample time for question and answer sessions and discussions.

The Practical Asset & Liability Workshop covers ways to analyse ALM problems. Mathematical models are supported by illustrative cases studies, which help translate theory to practice. This allows the attendee to gain access to real solutions and techniques, which they are then able to implement for their own work.
At the end of this workshop you will have:-

Gained insight into understanding ALM strategies

Found out how to analyse the challenging risk management problems of ALM

Learned from real-life case studies and research-led approaches

Heard from experts from both academia and industry

Acquired helpful techniques and tips on how to productively apply ALM strategies to their own and their clients’ wealth management.

Target Audience

This workshop is targeted at

Quantitative and technical analysts,

Risk analysts,

Fund managers,

ALCO members of pension funds, insurance and banking
industries and academics

Strategic decision makers (CEO, CFO, CTO, CRO etc), ALCO
members and fund managers from pension, insurance, banking
industries and fund managers of HNI will all benefit from this
course.

For Quantitative Analysts/Risk Analysts: This workshop give you
an overview of the wide range to the
technologies available, allowing you to define and conceptualise
your business problem in terms of an optimisation problem

For Academics and Students: Take advantage of our special academic prices to view optimisation from a business perspective, as well as receive hands-on experience with leading optimisation software.

Gautam Mitra is an internationally renowned research scientist in the field of Operational Research especially in computational optimisation and modelling. He is the director of OptiRisk Systems UK (with its subsidiary in India) where he has been instrumental in developing optimisation and modelling products used in Asset Management, Supply Chain Management as well as other sectors. He has developed a world class research group in his area of specialisation with researchers from Europe, UK & USA. He has published three books and over hundred refereed research articles. He was Head of the Department of Mathematical Sciences, Brunel University between 1990 and 2001. In 2001 he has established CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications. CARISMA specialises in the research of Risk and Optimisation and their combined paradigm in decision modelling.

Dan diBartolomeo is President and founder of Northfield Information Services, Inc. Before starting Northfield, he held the position of Director of Research at a New York investment firm, where he was responsible for investment strategy and equity, fixed-income, and derivatives research. Dan writes and lectures extensively and frequently presents papers at academic and industry meetings. He serves on the boards of the Chicago Quantitative Alliance, Woodbury College, and the American Computer Foundation, and the Boston Committee on Foreign Relations. He is an active member of the Financial Management Association, QWAFAFEW, the Southern Finance Association and the International Association of Financial Engineers. He has published numerous articles and papers in a variety of journals, has contributed chapters to several finance textbooks, and recently finished his first book on investment management for high net-worth individuals, published by the CFA Research Foundation. He received his degree in applied physics from Cornell University.

Teemu Pennanen is the Professor of Mathematical Finance, Probability and Statistics at King's College, London. Before joining KCL, Professor Pennanen worked as Managing Director at QSA Quantitative Solvency Analysts Ltd, with a joint appointment as Professor of Stochastic at University of Jyvaskyla, Finland. His earlier appointments include a research fellowship of the Finnish Academy and several visiting positions in universities abroad.

Moorad Choudhry is Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He was previously Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products, and vice-president in structured finance services at JPMorgan Chase Bank. Moorad is Visiting Professor at the Department of Mathematical Sciences, Brunel University and Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London. He is a Fellow of the ifs-School of Finance and a Fellow of the Chartered Institute for Securities & Investment.

Michael Dempster is Professor Emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. He has taught and researched in leading universities on both sides of the Atlantic, including Oxford, Cambridge, Stanford, California-Berkeley, Princeton, Toronto and Rome, and is currently founding Editor-in-Chief of Quantitative Finance and an Associate Editor of Stochastics, Computational Finance and the Journal of Risk Management in Financial Institutions. He has been consultant to a number of global financial institutions and several governments and is regularly involved in executive education in financial engineering and risk management around the world. Author of over 120 published research articles in leading international journals; his books include Stochastic Programming, Derivative Securities (with S R Pliska), Risk Management: Value at Risk and Beyond, Quantitative Fund Management (with G Mitra and G Pflug) and Stochastic Optimization Methods in Energy and Finance: New Financial Products and Energy Market Strategies (with M Bertocchi and G Consigli). His work has won several awards and he is an Honorary Fellow of the UK Institute of Actuaries and Managing Director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.
Elena Medova is Visiting Fellow and a member of the Centre for Financial Research in the Statistical Laboratory, Department of Pure Mathematics and Statistics, University of Cambridge. She is Managing Director of Cambridge Systems Associates Limited, an analytics and software consultancy. Elena specialises in stochastic system optimisation and financial risk management and has published over 40 papers in leading international journals and conference proceedings, including Risk, Quantitative Finance, Journal of Asset Management, Journal of Financial Innovation, Journal of Financial Regulation and the British Actuarial Journal. She is co-founder of the Centre, has been responsible for many of its projects, supervised a number of PhD students, and has written extensively on extreme value models in operational risk management. Dr. Medova’s current research on risk management links the problem of practical risk assessment and management with financial regulation. Interest in her work has resulted in invitations to global banking conferences and executive education courses in London, New York, Paris, Geneva, Milan, Frankfurt, Moscow, Athens, Beijing, Bankok and Calcutta.

Thanks to our sponsors, there are a limited number of bursaries available for academics and research students.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com